Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 7 | 7 |
| Score | 6.19 | 2.75 | 3.84 |
| Market Cap (Millions USD) | 274965.05 | 273540.37 | 271707.56 |
| Predicted Beta | 3.02 | 2.97 | 2.92 |
| Idiosyncratic Volatility | 4.93 | 5.02 | 5.02 |
Annualized return and volatility
| SPY | |
|---|---|
| Annualized Return | 0.0419 |
| Annualized Std Dev | 0.1440 |
| Annualized Sharpe (Rf=0%) | 0.2912 |
Row
Daily Return Statistics
| SPY | |
|---|---|
| Observations | 5113.0000 |
| NAs | 1.0000 |
| Minimum | -0.1652 |
| Quartile 1 | 0.0000 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0000 |
| Maximum | 0.1091 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -1.1848 |
| Kurtosis | 78.1746 |
Downside Risk
| SPY | |
|---|---|
| Semi Deviation | 0.0064 |
| Gain Deviation | 0.0238 |
| Loss Deviation | 0.0314 |
| Downside Deviation (MAR=210%) | 0.0109 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.5220 |
| Historical VaR (95%) | 0.0000 |
| Historical ES (95%) | -0.0352 |
| Modified VaR (95%) | -0.0032 |
| Modified ES (95%) | -0.0032 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-02-01 | 2013-03-01 | -0.5220 | 1364 | 322 | 1042 |
| 2000-09-01 | 2002-09-01 | 2007-05-01 | -0.4631 | 1701 | 508 | 1193 |
| 2018-10-01 | 2018-12-01 | 2019-04-01 | -0.1403 | 127 | 45 | 82 |
| 2015-06-01 | 2015-09-01 | 2016-07-01 | -0.0924 | 280 | 67 | 213 |
| 2018-02-01 | 2018-03-01 | 2018-08-01 | -0.0665 | 128 | 20 | 108 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SPY | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -1.5 | 9.4 | -3.5 | -1.6 | 1.7 | -1.6 | 6.5 | -5.7 | -0.5 | -7.5 | -0.8 | 4.4 | -1.8 |
| 2001 | -9.5 | -5.9 | 8.5 | -0.6 | -2.7 | -1.0 | -5.9 | -8.5 | 1.3 | 7.8 | 0.2 | -1.0 | -17.4 |
| 2002 | -1.8 | 3.0 | -5.8 | -0.6 | -7.7 | -7.9 | 0.7 | -10.9 | 8.2 | 6.2 | -6.1 | -2.5 | -24.0 |
| 2003 | -1.3 | -0.2 | 8.5 | 5.5 | 0.7 | 1.8 | 2.1 | -1.5 | 5.4 | 1.1 | 4.5 | 2.0 | 31.9 |
| 2004 | 1.4 | -1.7 | -1.9 | 1.7 | 1.5 | -3.2 | 0.2 | 0.6 | 1.3 | 4.1 | 2.5 | -2.2 | 4.1 |
| 2005 | 2.1 | -2.2 | -1.9 | 3.2 | -0.3 | 3.8 | -0.9 | 0.4 | -2.4 | 4.4 | -0.7 | 2.4 | 7.9 |
| 2006 | 0.6 | 1.2 | 1.3 | -3.0 | -0.2 | 0.4 | 2.2 | 2.3 | 3.2 | 2.0 | 0.8 | 1.5 | 12.7 |
| 2007 | -2.0 | 0.8 | 4.4 | 3.4 | -1.9 | -3.1 | 1.3 | 3.4 | 1.4 | -3.9 | -1.6 | -6.0 | -4.4 |
| 2008 | -2.6 | -1.4 | 4.8 | 1.5 | -8.8 | -0.9 | 1.5 | -9.9 | -16.5 | -7.0 | 0.2 | -8.2 | -39.7 |
| 2009 | -10.7 | 7.6 | 9.9 | 5.8 | -0.6 | 7.5 | 3.7 | 3.1 | -1.9 | 6.2 | 1.4 | -3.6 | 29.7 |
| 2010 | 3.1 | 5.7 | 1.5 | -7.9 | -5.6 | 6.8 | -4.5 | 8.4 | 3.8 | 0.0 | 6.1 | 2.3 | 19.8 |
| 2011 | 3.5 | -0.4 | 2.9 | -1.1 | -2.2 | -2.0 | -5.5 | -7.4 | 10.9 | -0.4 | 0.4 | 4.6 | 2.1 |
| 2012 | 4.3 | 2.8 | -0.7 | -6.0 | 3.5 | 1.2 | 2.5 | 2.0 | -1.8 | 0.6 | 0.2 | 5.1 | 14.0 |
| 2013 | 1.3 | 3.3 | 1.9 | 2.4 | -1.9 | 5.2 | -3.0 | 2.7 | 4.6 | 3.0 | 2.0 | -3.5 | 19.0 |
| 2014 | 4.6 | 0.4 | 0.7 | 2.3 | 1.6 | -1.3 | 3.9 | -1.8 | 2.4 | 2.7 | -0.8 | -3.0 | 11.9 |
| 2015 | 5.6 | -2.0 | 1.0 | 1.3 | -2.5 | 2.3 | -6.1 | -3.1 | 8.5 | 0.4 | -2.3 | -5.0 | -2.9 |
| 2016 | -0.1 | 6.2 | 0.4 | 1.7 | -0.2 | 3.6 | 0.1 | -0.5 | -1.7 | 3.7 | 1.4 | 1.8 | 17.5 |
| 2017 | 3.9 | -0.3 | 1.0 | 1.4 | 0.1 | 2.1 | 0.3 | 1.5 | 2.4 | 3.1 | 0.7 | 5.6 | 23.9 |
| 2018 | -3.6 | -3.1 | 0.5 | 2.4 | 0.1 | 3.7 | 3.2 | 0.1 | -6.9 | 1.9 | -9.3 | 8.0 | -4.2 |
| 2019 | 3.2 | 1.4 | 4.1 | -6.4 | 6.4 | 1.5 | -1.7 | 1.5 | 2.2 | 3.6 | 2.2 | 0.0 | 19.0 |
Row
Rolling Performance Chart
Snail Trail Chart
